So like albums that have a clear tie between them, were recorded around about the same time and were clearly intended together, as opposed to a sequel coming years after. Some of these have actually been released together, as can be seen here.

That's about all I can think of right now. So feel free to think of some more for me.

^ I feel literally ashamed now.
There's most probably no better example of sibling albums than the classics Use Your Illusion I + II.

More true siblings (recorded in one session and sharing the same story):Satan's Host - Pre-Dating God Part 1 + Part 2Benighted In Sodom - In Hora Maledictus - Part I + Part IISolefald - An Icelandic Odyssey (Red For Fire + Black For Death)Senmuth - too many siblings to get hold of them. Senmuth's discography is one single shameful sibling incest.

Not sure aboutStratovarius - Elements Part I + Part II
Both albums are from 2003 but I will not dig any deeper unless someone is willing to pay me. Just can't stand this band. Sorry.